KOSOWSKI Robert, PhD

Affiliate Professor

Speciality : Finance

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France

Téléphone : + 33 (0)4 93 18 99 66
Télécopie : + 33 (0)4 93 83 08 10

Email : r.kosowski@imperial.ac.uk

Main academic publications

Quarterly Journal of Finance (2011), Journal of Financial Economics (2007 ; 2011), Journal of Finance (2006)

Documents to download

Pdf
CV KOSOWSKI Robert...
(-1.00 B)

Publications edhec

First, we construct a very comprehensive set of time series momentum benchmark portfolios. Second, we provide evidence that CTAs follow timeseries...
By highlighting economically important effects of database selection bias on previously documented results we aim to improve the ability of...
Using a dataset with intra-day quotes of 12 futures contracts from November 1999 to October 2009, we investigate these dependencies and their...